Figure 1.
The line graph shows T C I on the vertical axis from about 14 to 20 and date on the horizontal axis from November 2023 to January 2025. The line increases from about 14 in November 2023 to around 17 by December 2023, then fluctuates between about 18 and 19 from January 2024 to August 2024. The values vary between about 17 and 19 from September 2024 to November 2024, then decrease to around 15 to 16 toward December 2024 and January 2025.Time-varying total connectedness (rolling TCI) based on GFEVD
Note(s): The figure plots the rolling Total Connectedness Index (TCI) computed from a VAR(2) estimated over a 252-trading-day window and a generalized FEVD horizon of trading days. Higher values indicate stronger system-wide spillovers (greater share of forecast uncertainty explained by cross-variable shocks) among CPU, green sukuk returns and equity returns